Convex cones
From Wikimization
Nonorthogonal projection on extreme directons of convex cone
pseudo coordinates
Let be a full-dimensional closed pointed convex cone in finite-dimensional Euclidean space .
For any vector and a point , define to be the largest number such that .
Suppose and are points in .
Further, suppose that for each and every extreme direction of .
Then must be equal to .
proof
We construct an injectivity argument from vector to the set where .
In other words, we assert that there is no except that nulls all the ; i.e., there is no nullspace to operator over all .
Function is the optimal objective value of a (primal) conic program:
Because dual geometry of this problem is easier to visualize, we instead interpret its dual:
where is the dual cone, which is full-dimensional, closed, pointed, and convex because is.
The primal optimal objective value equals the dual optimal value under the sufficient Slater condition, which is well known;
i.e., we assume